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When fitting a distribution in excess of a threshold as part of the body-tail distribution...

When fitting a distribution in excess of a threshold as part of the body-tail distribution method described by the equation below, how is the parameter 'p' calculated.

Here, F(x) is the severity distribution. F(Tail) and F(Body) are the parametric distributions selected for the tail and the body, and T is the threshold in excess of which the tail is considered to begin.

A.

p is a function of the reporting threshold and determined by the log-likelihood functional

B.

If there are K observations up to the tail threshold, then p = k*n

C.

p is a parameter estimated using either the sum of least squares or maximum likelihood estimation

D.

If there are Nobservations, of which K are up to T, then p = k/N

PRMIA 8010 Summary

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  • Product: 8010
  • Update on: Jul 29, 2025
  • Questions: 240
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